Testing independence by nonparametric kernel method

Ibrahim A. Ahmad and Qi Li

Statistics & Probability Letters, 1997, vol. 34, issue 2, 201-210

Abstract: Using nonparametric kernel estimation method, we propose a consistent test for independence of two random vectors based on the L2 norm of difference between the joint density and the product of their marginals. A Monte Carlo study is carried out to examine the finite sample performance of the proposed test.

Keywords: Testing; independence; Kernel; estimation; Consistent; tests; Monte; Carlo; simulation; Asymptotic; normality (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (12)

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